Richard Martin (Imperial College London)
Black to Negative:
Embedded optionalities in commodities markets
ABSTRACT: We address the modelling of commodities that are supposed to have positive price but, on account of a possible failure in the physical delivery mechanism, may turn out not to. This is done by explicitly incorporating a ‘delivery liability’ option into the contract in the Black model.
ABOUT THE SPEAKER:
Dr Richard Martin is Visiting Professor at Imperial College London and an experienced quant with 20+ years of experience in quantitative finance, in credit, fixed income derivatives and risk management. He has also published in other areas, including signal processing, combinatorics and analytical approximations for solutions of parabolic partial differential equations. He holds a PhD in Applied Mathematics from UCL and was selected as Quant of the Year by RISK Magazine in 2002.